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On a two-phase minmax method for parameter estimation of the Cox, Ingersoll, and Ross interest rate model - MaRDI portal

On a two-phase minmax method for parameter estimation of the Cox, Ingersoll, and Ross interest rate model

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Publication:2493330

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zbMath1089.62121MaRDI QIDQ2493330

Daniel Ševčovič, A. Urbánová Csajková

Publication date: 12 June 2006

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90) Approximation methods and heuristics in mathematical programming (90C59) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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